New York, February 23, 2011 -- Moody's Investors Service has downgraded the ratings of five tranches
issued by two RMBS resecuritization deals issued by GSMSC in 2008.
Issuer: GSMSC Pass-Through Trust 2008-1R
Cl. A1, Downgraded to Caa3 (sf); previously on Jan 29,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: GSMSC Pass-Through Trust 2008-2R
Cl. 1A-1, Downgraded to Caa1 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 1A-2, Downgraded to C (sf); previously on
Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Caa1 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to C (sf); previously on
Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The actions are as a result of the bonds not having sufficient credit
enhancement to maintain the current ratings compared to the revised loss
expectation on the pools of mortgages backing the underlying certificates.
The resecuritization GSMSC 2008-1R is backed by the class A-1
(the "Underlying Certificate") issued by IndyMac INDX Mortgage Loan Trust
2007-AR17. The underlying certificate is backed primarily
by first-lien, Alt-A residential mortgage loans.
The Class A-1 issued by GSMSC 2008-1R is a senior class,
supported by a subordinated bond Class A-2, which receives
principal payments after Class A-1 but absorbs losses before Class
A-1.
The Group1 bonds of the resecuritization GSMSC 2008-2R are backed
by the classes 5A-1 and 5A-2 (the "Underlying Certificates")
issued by GSR Mortgage Loan Trust 2006-8F. The Group2 bonds
of the resecuritization GSMSC 2008-2R are backed by the classes
6A-1 and 6A-2 (the "Underlying Certificates") issued by
GSR Mortgage Loan Trust 2006-9F. Both sets of underlying
certificates are backed primarily by first-lien, Prime Jumbo
residential mortgage loans. The Class 1A-1 issued by GSMSC
2008-2R is a senior class, supported by a subordinated bond
Class 1A-2, which receives principal payments after Class
1A-1 but absorbs losses before Class 1A-1. The Class
2A-1 issued by GSMSC 2008-2R is a senior class, supported
by a subordinated bond Class 2A-2, which receives principal
payments after Class 2A-1 but absorbs losses before Class 2A-1.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pools of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectation on the Alt-A pools backing the
GSMC 2008-1R underlying certificates and the current ratings of
those underlying certificates can be found at http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174.
Moody's current loss expectation on the prime jumbo pools backing the
GSMC 2008-2R underlying certificates and the current ratings of
those underlying certificates can be found at http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF196023.
(ii) The credit enhancement available to the underlying certificates,
and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumption on the underlying pools of mortgage
loans (backing the underlying certificates) and then arrived at updated
ratings on the underlying certificates. The ratings on the underlying
certificates are based on expected recoveries on the bonds under ninety-six
different combinations of six loss levels, four loss timing curves
and four prepayment curves. The volatility in losses experienced
by a tranche due to small increments in losses on the underlying mortgage
pool is taken into consideration when assigning ratings. For details
regarding Moody's approach to estimating losses on Alt-A and Prime
Jumbo pools, please refer to the methodology publications "Alt-A
RMBS Loss Projections Update: 2010" and "Prime Jumbo RMBS Loss Projection
Update: January 2010 " respectively, available on Moodys.com.
In order to determine the ratings of the resecuritized bonds, the
loss on the underlying certificates was ascribed to the resecuritized
classes, according to the structure of the resecuritized transaction.
The losses on the resecuritized certificates are allocated "bottom up"
with the subordinate class taking losses ahead of the senior class.
Principal payments to the certificates are allocated sequentially,
with the senior class being paid ahead of the subordinate class.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
As part of the sensitivity analysis, we stressed the updated expected
loss on the pool of loans backing the underlying certificates by an additional
10% and found that the implied ratings of the bonds do not change.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence reports had neutral impact on
the ratings.
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF236938
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, confidential
and proprietary Moody's Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $248 million of RMBS resecuritized bonds issued by GSMSC Pass-Through Trust